To this I would add (in the HEAD of the custom 404 document),
Originally Posted by williamc
to keep my 404 page OUT OF the index.
<meta name="robots" content="follow,noindex" />
I would further venture that if an indexed URL returns 404 (from an unconfigured server) it will eventually be removed, and in the meantime would have no link popularity value assigned. In other words, the link probably ONLY exists in the index, and its original source page already dropped from the index.
If these URLs (requests) are captured with a custom 404 page, they will less likely be removed, but rather updated, and treated as 301. On the assumption the old link is simply residue in the index, and the new one to a page that is already indexed (like the home page) it will still show as a vote, even if there is no juice to pass along.