I would advise strongly against redirecting for the simple reason that the original URL is no longer editable.
If I made a typo in the url:
http://example.com/users/jwheared
And got redirected to:
http://example.com/denied
It's more of a hassle for me to now correct my typo:
http://example.com/users/jwheare
This same principle applies to 404 or any other error page. Also if it's a temporary server error, redirecting to a different URL removes the ability to wait a bit and then just refresh the page later.
In addition to this user centric advise, the error page should be served with a relevant HTTP error code (probably 401 Unauthorized as mentioned in other answers).
Best practice is to follow the HTTP spec, and none of the 3xx redirection status codes apply to the situation you described.
Edit: Another important point is that this will potentially harm your search engine performance. If a crawler visits an unauthorised page and receives a redirect, it will see all your unauthorised pages as one, and potentially boost the ranking of the error page. If you send the correct error headers, then the crawler is more likely to correctly identify that URL as unauthorised and just ignore it.
Web crawlers are often dumb clients that implement the bare minimum of the HTTP spec. It pays to think about them as well as people using a web browser.