  Charge density waves (CDW) are modulations of the electron density and the
atomic lattice that develop in some crystalline materials at low temperature.
We report an unusual example of a CDW in BaFe$_2$Al$_9$ below 100 K. In
contrast to the canonical CDW phase transition, temperature dependent physical
properties of single crystals reveal a first-order phase transition. This is
accompanied by a discontinuous change in the size of the crystal lattice. In
fact, this large strain has catastrophic consequences for the crystals causing
them to physically shatter. Single crystal x-ray diffraction reveals
super-lattice peaks in the low-temperature phase signaling the development of a
CDW lattice modulation. No similar low-temperature transitions are observed in
BaCo$_2$Al$_9$. Electronic structure calculations provide one hint to the
different behavior of these two compounds; the d-orbital states in the Fe
compound are not completely filled. Iron compounds are renowned for their
magnetism and partly filled d-states play a key role. It is therefore
surprising that BaFe$_2$Al$_9$ develops a structural modulation instead at low
temperature instead of magnetic order.
