I can't seem to get 404 error pages working with 2.0.1. I've created an example WP installation here for testing. This is a fresh install without any third-party plugins or themes.
Everything seems to be fine, except for one thing. Invalid URLs, like this one return my theme's index page, not its 404 error page. I can't figure out why this is.
If it matters, my host is running PHP 5.0.4 and Apache 1.3.34 on Linux.