Quoting David Rothstein drothstein@gmail.com:
Not sure how your site is set up exactly, but blocks in Drupal do not show up on 404 pages, and this is by design (for performance reasons). It's either a feature or a bug, depending on who you talk to :)
So if you have lots of your content in blocks, that would explain it.
There's a lot of discussion here (http://drupal.org/node/129762) and here (http://drupal.org/node/116895)... you might be able to find a solution that would work for you in those threads.
And as has been discussed, should be an option the admin can either turn on or off. The problem I found with no blocks is the user is left feeling helpless at trying to figure out what to do next. With the blocks the user has a menu of options.
-- Earnie http://r-feed.com Make a Drupal difference and review core patches.