I agree with Rusty.
I'd like to add:
The preposition "a" is establishing at what state something or someone is.
We don't use an impersonal as we do with other weather expressions; we say "estamos a dos grados bajo cero" because that's the temperature we're experiencing. There is a clear subject, either "nosotros" or "la temperatura".
We don't say "está dos grados bajo cero", because this would mean that there is an entity called "dos grados bajo cero" who is there. This sentence misses the meaning that it's a status and not a person or thing that is there.
"Son dos grados bajo cero" answers a question asking specifically "¿qué temperatura es?", that someone would ask to know what temperature the thermometer is reading, because they can't see for themselves. But it is not a statement about what temperature we have to start a conversation, for example.
"Dos grados por debajo
del cero" is a long expression making a really unnecessary emphasis. You might find similar expressions in news broadcasting or where sensationalism is the norm.
