"File Not Found" requests handling? - Whats the best option?

Select how 'File Not found' requests will be handled:
- Redirect to homepage
- Send 404 HTTP code and show a 'Page not found' message
- Include custom error page. NOTE: The filename should include the absolute path. (example: /home/user/public_html/error.php)

Just wondering what other people use here?...

I my self use option 3...

http://www.resellerclubtalk.com/404.php

Option 1

I always used the second option Send 404 HTTP code and show a 'Page not found' message and i totally havent got a clue why. Will try the redirect option to the homepage.

I Make Costume 404 Page, Voted for 3