  We show that with a good fit to the muon $g-2$ constraint, the CP asymmetry
can be as large as 25% (15%) for $B^0_d \to \tau^+ \tau^-$ ($B^0_d \to \mu^+
\mu^-$) in SUGRA models with nonuniversal gaugino masses and MSSM. If tau
events indentified at B factories the CP asymmetry in $B^0_d \to \tau^+\tau^-$
can be a powerful probe on physics beyond SM. An interesting case is that new
physics gives a prediction on the branching ratio which is still in the
uncertain region of the SM prediction. The CP asymmetry for $B^0_d \to l^+ l^-$
in this case can still reach 20%. So it is powerful to shed light on physics
beyond SM while the CP asymmetry of $b \to s \gamma$ in this case can only
reach 2% at most which is too small to draw a definite conclusion on new
physics effects at B factories.
