I really not sure about entertaining visitors, but as I always do - I put myself in place of a visitor and try to think what would I like to see on that page if I were on his/her place! Ok, I got a page that not exist! I'm a little upset that it no longer there and I still want that page! What do you have me to offer? You can say to him/her - "Opps! This page is no longer exist, please use our sitemap to find it or use a search, thank you!" - This should make your visitor much happier
You can write something more interesting, it's up to you!