Search and 404
WordPress provides search.php for your search results page and 404.php for your 404 File Not Found error page. If your theme doesn't have these files it will make do with index.php, but I find it is helpful to include them. This way you can customize any messaging you wish to include as well as any sidebars. For instance on this site I've used a sidebar on these templates that lists all pages in the side menu. The code to include all pages is:
<h4>Site Map</h4>
<ul>
<?php wp_list_pages("title_li="); ?>
</ul>