This is generally a missed feature of drupal sites. It's a common thing to see "Access denied" and "Page not found" without much theming or content but doesn't necessarily have to be the case.
If you follow the main navigation menu to Administer / Site configuration / Error reporting you can chose custom drupal paths that will be shown in place of the default access denied and page not found pages. A common use for this is, specially if you don't use the login block, is to replace the Access denied path with the user login page. By doing so, you will get the option to log in when accessing unrestricted pages and be redirected to the accessed page upon login.
We have developed our own login page in which we have all three drupal user forms on one page (user login, user registration and password retrieval).
Posted by ariel on October 12th, 2010