The Bivings Report just blogged the 404 page they designed for non-profit Panthera (make sure to click through to check out the visual). The point? Even on a well-designed, well-maintained site, a lot of people will end up landing on a 404, so design it well.
Other dead-end pages you should design with clicks in mind: thank-you pages (for forms, sign-ups, contests, etc.) are one. And even unsubscribe pages are good. Canadian Living, for instance, displays a fantastic dynamic page full of up-to-date links when you unsubscribe from their newsletters.
Make use of every touch point you have with your readers. It never hurts to make that one extra conversion.