I added a 404 page to Mike Little’s journalized theme. It’s nothing fancy, just ripped the content area out of index.php and put some semi-helpful text in its place. This page should work for all of the Journalized themes, and should be site-independent.
The WordPress Codex has an excellent article on 404 pages, including instructions for making your 404 page show up instead of the browser’s default (useless) information. It’s al got suggestions for 404 page content and links to other helpful sites.
Instructions: right-click on and save it to a local file. Add any custom text or links as appropriate for your site. Then upload it to your Journalized theme directory, e.g. wordpress/wp-content/themes/journalized-blue.