Back when I was in college, I spent a lot of time on a site called HomestarRunner.com. Don't ask me what it is, I'm not ever sure the site creators know what it's about. They just decided to create some random characters and make hilarious flash cartoons out of them. Regardless of what the site is, one day I went to a page that didn't exist on their server. But it wasn't a normal 404 error page. I thought it was funny, and have actually shown people this 404 page.
But why fix it? What are the benefits to creating such a page? Well, first of all, custom 404's look more professional. Second, your exit rate will certainly decrease. Consider how I found Homestarrunner's page hilarious, and actually returned to the site, as opposed to leaving in frustration. And third, you have to consider the search engine bots. What can a robot do if it reaches a 404 page? It is a dead end. No where to go, no more site for it to index. That's not good. We want sites to be as robot friendly as possible.
If you don't know where to start in creating a custom 404 page, try the plinko.net/404 page. It provides more examples of good and comical 404 errors, and it also gives some tips and advice on creating your own.