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 BaFe2Al9 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 BaCo2Al9. 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 BaFe2Al9 develops a structural modulation instead at low temperature instead of magnetic order.