CREATE PROC MyProc1
  @LastName VARCHAR(30) = ''
, @FirstName VARCHAR(30) = ''
AS
  IF @LastName = '' OR @FirstName = '' BEGIN
    RAISERROR('MyProc1 expects both parameters @FirstName and @LastName.  Both are VARCHAR(30).  Values supplied were @LastName: %s and @FirstName: %s', 16, 1, @LastName, @FirstName)
  END
...

I prefer to add my comments after the create procedure, eg

create proc rpcNameOfProc
   @AcctMonthEndDate datetime
as

--Custom script created for Client
--This script should be reinstalled and tested at time of an upgrade.
--Name - rpcNameOfProc
--Version - 4
--Author - Gareth Mercer
--Create Date - 20 October 2004
--Description - Used for the report Report.rpt

That way when you're at a client's and you want to know what version they have, you can do an
sp_helptext, rather than rely on the client to have a record.

Your's example code:

It's better to use statements like :

  if @parameter is null ....

SP parameters can be obtained from metadirectory

Uneeded and espesially not current comments are wost then none!!! 

RAISERROR is the way to go if you are going to throw an error up the chain.

At the very least if you are using RETURN you should be giving RETURN a value so that your calling EXEC knows there was a failure.

CREATE PROC dbo.myBad
   @myInt    int    = 0
AS
   IF @myInt = 0
       RETURN 1    --- @myInt can't be 0
GO

DECLARE @myResult int
EXEC @myResult = dbo.myBad
IF @myResult <> 0
BEGIN -- Error handling routine
    PRINT 'There was an error'
    .....
END