ThemeShock

Custom 404, helps you customize your 404. 
From the dashboard options you’re able to modify the background, the image and the fonts color and style.
This page will show users the last post on your site, so that they may choose to follow one of this instead of leaving your page.
<h3>Features</h3>
<ul>
<li>Customizable background</li>
<li>Several Patterns</li>
<li>Multiple fonts</li>
<li>24 additional images.</li>
<li>5 Different languages</li>
</ul>

Custom 404 Error Page: Unilimited designs and colors

Custom 404, creates a 404 page that is set to the default one of your WordPress installation.
This page is fully customizable from the dashboard.

JordiPlana

This plugin hooks the normal WordPress workflow in order to determine if the request is processing will cause a 404 HTTP error. In that case it prevents WordPress to do any other processing and sends the user to the page defined in the plugin options.
A working and simple solution.
For more information about this plugin you can check <a href="http://jordiplana.com/404-simple-redirect-plugin-for-wordpress" title="404 Simple Redirect Plugin for WordPress" rel="nofollow ugc">the official page</a>.

404 Simple Redirect

This plugin hooks the normal Wordpress workflow in order to determine if the request is processing will cause a 404 HTTP error.

Custom 404 Error Page: Unilimited designs and colors vs 404 Simple Redirect