Apparently someone decided to "improve" my site's performance under 5.x, without asking me if I liked the idea. When a "page not found" (404) occurs, the menu is not shown, so users can be lost and not realize how to get back into my site (yes, this has happened), and not just to me: http://drupal.org/node/140452
Someone suggested a simple hack to common.inc, but it seems to me that it would be better to rectify the whole "you didn't ask me" question. This patch adds two check boxes to the error-reporting settings page (system.module) to indicate whether the blocks should be shown. Then it modifies common.inc to check those values when displaying the error pages.
I have looked over the much larger patch to this area (http://drupal.org/node/77514), and I think this would be a valuable addition to that if someone wants to merge it.