There are times when you change the link or lets say somebody linked you but he made a little mistaking turning the url incorrect. When people land up on your site by default we can just ask them to either mail or may be we give a search page!!!. This is little frustrating for the readers and you loose them too.
I would suggest to use Google Webmaster 404 gadget in your 404 pages. Its a script which tries to find closest match to the wrong url people land up on your site. The suggested match , as far as my understanding goes, is being matched with the site map url we provide them. In case it is not able to find anything, it would give a link to your home page.
Here is an example :
You can find this under Web Master console > Tools > Enhance 404 Pages