Is there module to improve the errors in Expression engine ? The in build system is pretty cumbersome and without spending time building multiple form validation classes I would like something that does not send you to the error page but shows the errors on the current page.
The User Message templates are the native behavior of EE, but there are some addons that you can use to work around them.
A 3rd party addon like Free Member https://github.com/expressodev/freemember can display errors like required fields inline to avoid EE's user message templates.
Beyond that if there is a specific message you are trying to avoid from another form submission there's likely an addon that can do it.
You may also want to check out this the Custom System Messages Addon http://devot-ee.com/add-ons/custom-system-messages.