Python 3Python 2.7 + xkcd, 55 bytes
xkcd is a third-party Python package. In Python, there is a package for everything!
lambda n:[xkcd.getComic(n).altText][n==859]
import xkcd
For 404:
urllib2.HTTPError: HTTP Error 404: Not Found
For 859:
IndexError: list index out of range