It appears that the Weather application on the iPhone (powered by Yahoo! Weather) can't display temperatures below zero degrees fahrenheit. As reported by one user on the Apple Discussions board:
"I live in Alaska. The temps here have all been below zero F or more than -18C but the weather reported on the iphone never goes below zero F. right now it is -13F and going to Yahoo says this but the iphone shows 0F. "
While the Weather application will display temperatures lower than zero degress fahrenheit in the extended forecast and the high/low temperature for the day, the current temperature reading cannot step below this threshold. Yahoo's Web-accessible weather data will show temperature data below zero degrees, so this appears to be an easily fixable bug in the iPhone app.